EBA to scrutinise banking book models amid macro turmoil

Banking regulator raises concerns as bankers doubt their IFRS 9 and IRRBB models

eba-european-banking-authority

Europe’s top banking regulator will more closely scrutinise banks’ interest rate and credit risk modelling practices after macroeconomic stresses have caused bankers to lose faith in the accuracy of their internal models.

“We will have questions for the banks,” Delphine Reymondon, head of the liquidity, leverage, loss absorbency and capital unit at the European Banking Authority, tells Risk.net.

One set of models the EBA is interested in are those used to calculate the provisions that banks

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